In general, you would need to set up your proxy system as the DNS server, unless it's also doing NAT (also called Internet Connection Sharing or IP Masquerade) for the DOS system. As for the gateway, that should be the IP address of your proxy system.

"Two other PCÂ´s are connected to it and can surf fine via Proxy under windows."

How are the other systems connected? Are they using Internet Connection Sharing / NAT / IP Masquerade? What version(s) of Windows are the systems running?